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Stock return dynamics and the CAPM anomalies

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  • Reidar Hagtvedt

Abstract

In this study the chaotic properties of stocks were calculated at the firm level rather than focusing on the properties of indices. The dominant Lyapunov exponent and the Correlation Dimension were estimated for weekly returns to individual stocks, and the relationships between these and the firm characteristics size (market value) and book-to-market-equity (BME) ratio were examined. Size was found to have an effect on the dynamic characteristics of the stocks, but BME had no statistically significant impact.

Suggested Citation

  • Reidar Hagtvedt, 2009. "Stock return dynamics and the CAPM anomalies," Applied Economics Letters, Taylor & Francis Journals, vol. 16(16), pages 1593-1596.
    • Handle: RePEc:taf:apeclt:v:16:y:2009:i:16:p:1593-1596
    DOI: 10.1080/13504850701582159
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    1. William A. Barnett & A. Ronald Gallant & Melvin J. Hinich & Jochen A. Jungeilges & Daniel T. Kaplan, 2004. "A Single-Blind Controlled Competition Among Tests for Nonlinearity and Chaos," Contributions to Economic Analysis, in: Functional Structure and Approximation in Econometrics, pages 581-615, Emerald Group Publishing Limited.
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    1. Alonso Conde, Ana B. & Rojo Suárez, Javier, 2022. "Trends in the explanatory power of factor-based asset pricing models in determining the cost of capital," Cuadernos de Gestión, Universidad del País Vasco - Instituto de Economía Aplicada a la Empresa (IEAE).

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